波动性(金融)
经济
社会联系
波动微笑
波动率互换
电
金融经济学
隐含波动率
计量经济学
货币经济学
工程类
心理学
电气工程
心理治疗师
作者
Nicholas Apergis,Jozef Baruník,Chi Keung Marco Lau
标识
DOI:10.1016/j.eneco.2017.06.010
摘要
Efficient delivery of network services and the electricity infrastructure to meet the long-term consumer's interests are the main objectives and the strategies of a national electricity market, while the main interests of generators are to maximize their profit through pricing strategies. Therefore, the objective of this study is to explore whether electricity prices across the four Australian States display symmetric price volatility connectedness. The study is the first attempt in the literature to make use of intraday 5-min Australian dispatch electricity prices, spanning the period December 8th, 1998 to May 5th, 2016 to quantify asymmetries in volatility connectedness emerging from good, and bad volatility. The results provide supportive evidence that the Australian electricity markets are connected asymmetrically implying the presence of some degree of market power that is exercised by generators across regional electricity markets.
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